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Math Help - Determining the correlation

  1. #1
    Member
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    Determining the correlation

    Hi,

    I am computing the correlation between two vectors by simply averaging loads of correlation values:

    Repeat 100 times:
    Y = X + Noise, where Noise is AWGN with a normal distribution.
    C = \sigma_{XY}/\sqrt\(\sigma_{X}\sigma_{Y})

    Y and X are vectors of the same length. For my purposes X is just contains known constants.

    What I'd like to know is how I can determine the correlation analytically?

    Thanks.
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  2. #2
    MHF Contributor
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    Re: Determining the correlation

    Hey algorithm.

    Hint: How do you calculate the covariance and variance analytically?
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